It seems like no matter how far away from the ocean you are, you can still hear the ocean... all you need to do is hold a seashell up to your ear and hear the roar of the waves rolling onto the shore. If you're asking me, the best shells for producing this sound are the large, spiral conch shells (thanks, Maui).
Some people have suggested the sound you hear from the seashell is the echoing of your blood rushing through the blood vessels of your ear. That is not the case. If this were true, then the sound would intensify after exercising, since your blood races faster after exercising... or you know, running to the kitchen for more cake... However, the "ocean" sound is the same even after exercising as it was before.
Other people say the whooshing sound you hear inside the shell is generated by air flowing through the shell. The sound is actually louder when you lift the shell slightly away from your ear than it is when the shell is right against your head. However, this theory has been tested in a soundproof room and doesn't hold up. In a soundproof room, there is still air that would flow through the shell, but when you hold the seashell to your ear, there's no sound.
Therefore, the most likely explanation for the wave-like noise is from ambient noise around you. The seashell you hold just slightly above your ear captures this noise, which resonates inside the shell. The size and shape of the shell does have some effect on the sound you hear. Different shells sound different because different shell shapes and sizes accentuate different frequencies. Air takes longer to bounce back and forth in a bigger shell than it does in a smaller one, so you'll perceive the pitch of sound emerging from a bigger shell as being lower than that from a smaller one. Noise from outside the shell also can change the intensity of the sound you hear inside the shell. You can think of the shell as a resonating chamber. When sound from outside enters the shell, it bounces around, thus creating an audible noise. So, the louder the environment you are in, the louder the ocean-like sound will be.
You actually don't even need the seashell to hear the whooshing noise. You can produce the same "ocean" sound using an empty cup or even by cupping your hand over your ear. The level of the sound will vary depending on the angle and distance the cup or your hand is from your ear. Now you're walking around with the ocean at your finger tips... well sort of... you're welcome.